You can only save a copy if you have access to the server computer that is hosting the database. If you do, you can create a clone copy there, otherwise, the Save as... option is greyed out.

The other option, as you point out, would be downloading a copy from the server, in which case, you would be able to save as a clone., but this download may take a lot longer if you have a lot of records.

ricardocpa: it isn't clear how you suggest that this be done in the case of a hosted database. If you're suggesting that somehow you can open the file, on the server, with FileMaker, while not using open remote then - no, don't do that.

What you can do, if hosted AND if you have access to the server admin console:

Set up a backup schedule and select the option for it to create clones instead of backups. When setting up a backup schedule, you can choose which file(s) are to be backed up this way. You can also do this through the command line interface if you are comfortable with that.